CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	2.1599	2.62***
αARCH	0.3710	2.10**
βGARCH	0.5375	6.21***
γleverage	0.0694	0.19

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.1599	2.62***
α ARCH Response to squared shocks	0.3710	2.10**
β GARCH Volatility persistence	0.5375	6.21***
γ leverage Additional response to negative shocks	0.0694	0.19

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Inner Mongolia Shuangxin Environment-Friendly Material Co Ltd Asy. MEM Volatility Analysis

Date Range:

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